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First piece of work, rest to follow soon 09 Overshoot Study Index overshoot study beyond its weekly moving averages. By :Harman Bajwa ([email protected])
41

US WMA Overshoot Analysis

Nov 15, 2014

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In Stock Markets, one question is always important. How much is too much??? This study gives a quantitative view of how much is really too much.
For each of these index one can exit it at "Average beyond Std Dev of Overshoot" point. It gives the indication to be extremely cautious.
Based on Mean Convergence and if followed with discipline, one will always stay on right side of market.
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Page 1: US WMA Overshoot Analysis

First piece of work, rest to follow soon

09

Overshoot Study Index overshoot study beyond its weekly moving

averages.

By :Harman Bajwa ([email protected])

Page 2: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

2

Index

Title Page no:

Introduction 2

Std Deviation Charts 3

Std Dev tables 4

Highest/Lowest ever shootout charts 7

No: of weeks index was above/below std dev 9

S&P 11

Dow Jones Industrial Average 14

Nasdaq Composite 17

Dow Jones Transport Index 20

Dow Jones Utility Index 23

Dow Jones – AIG Commodity Index 26

Nasdaq Financial 29

Nasdaq Bank 32

Nasdaq telecommunications Index 35

Nasdaq Computers Index 38

Conclusion 41

Page 3: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

3

Stock Overshoot beyond Weekly Moving Averages study

The purpose of this report is to analyse the historical movement of US’s major indexes

beyond their 10 Week Moving Average, 20 Week Moving Average and 40 week moving

average. Benefit of this study would be:-

One can set realistic expectation out of each sector in its each bullish or bearish

move.

If the specific sector has over run and is way beyond its historic overshoot, one can

think of going under weight on particular sector. (Definition:- Overshoot is the

%age amount the stock has moved beyond its specific moving average)

Moving Averages are lagging indicators and if followed we miss near tops to exit

and near bottoms to enter. However, if we know the average standard deviation

expected from index, we can be in better position to take a well informed and

objective investment decision.

The overshoot %ages, can we kept as an stop loss or profit booking points. It will

reduce the variance and increase the returns/trade due to pre-determined low

deviation entry and exit.

One would be saved from wild swings in markets that come once in while or

decades, but once they come they wipe out more than 50% of the value.

For the purpose of study, following indexes were taken(Weekly data from -as mentioned -to

today):-

DJIA (Jan, 1928)

S&P 500 ( Jan, 1950)

Nasdaq Composite ( Feb ,1971)

Nasdaq Financials ( Jan, 2000)

Nasdaq Banking (Oct, 1990)

DJ Utility (Jan, 1929)

DJ Transport (Oct, 1928)

DJ-AIG Commodity (Jan, 1991)

Nasdaq telecommunication( May, 1996)

Nasdaq Computers( July 1995).

Page 4: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

4

Following Charts show the Standard Deviation of the overshoot beyond indexes prepective

moving averages

0

1

2

3

4

5

6

7

8

9

S&P

DJI

A

Nas

daq

DJ

Tran

s

DJ

Uti

lity

DJ-

AIG

Co

mm

Nas

daq

Ban

k

Nas

daq

Fin

Nas

daq

Tel

e

Nas

daq

Co

mp

u

Std Dev of Overshoot of Index beyond 10 WMA

Index beyong 10 WMA

0

2

4

6

8

10

12

14

S&P

DJI

A

Nas

daq

DJ

Tran

s

DJ

Uti

lity

DJ-

AIG

Co

mm

Nas

daq

Ban

k

Nas

daq

Fin

Nas

daq

Tel

e

Nas

daq

Co

mp

u

Std Dev of Index Overshoot beyond 20 WMA

Index beyond 20 WMA

Page 5: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

5

Standard Deviation for all the Indexes In %age for overshoot beyond 10 WMA

Index

Index beyond 10

WMA

S&P 3.50

DJIA 4.39

Nasdaq 5.39

DJ Trans 6.19

DJ Utility 4.84

DJ-AIG Comm 3.61

Nasdaq Bank 4.33

Nasdaq Fin 4.75

Nasdaq Tele 8.40

Nasdaq Compu 7.73

0

5

10

15

20

25

S&P

DJI

A

Nas

daq

DJ

Tran

s

DJ

Uti

lity

DJ-

AIG

Co

mm

Nas

daq

Ban

k

Nas

daq

Fin

Nas

daq

Tel

e

Nas

daq

Co

mp

u

Std dev of Index Overshoot beyond 40WMA

Index beyond 40 WMA

Page 6: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

6

Standard Deviation for all the Indexes In %age for overshoot beyond 20 WMA

Index

Index beyond 20

WMA

S&P 5.14

DJIA 6.48

Nasdaq 8.24

DJ Trans 9.23

DJ Utility 7.03

DJ-AIG

Comm 5.67

Nasdaq

Bank 6.48

Nasdaq Fin 6.39

Nasdaq Tele 13.21

Nasdaq

Compu 11.67

Page 7: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

7

Standard Deviation for all the Indexes In %age for overshoot beyond 40 WMA

Index

Index beyond 40

WMA

S&P 7.71

DJIA 9.45

Nasdaq 12.12

DJ Trans 13.10

DJ Utility 9.93

DJ-AIG

Comm 8.92

Nasdaq

Bank 10.01

Nasdaq Fin 8.94

Nasdaq Tele 20.76

Nasdaq

Compu 17.57

Page 8: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

8

Following charts show highest and lowest ever overshoot beyond the respective moving

averages

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

80.00

Highest/Lowest Overshoot beyond 10 WMA

Highest/Lowest Overshoot

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

Highest/Lowest Overshoot beyond 20 WMA (%age)

Highest/Lowest Overshoot

Page 9: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

9

Now let us see that for how many weeks or %age of total weeks, indexes remain beyond the

standard deviation level of overshoots.

-80.00

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

80.00

100.00

Highest/Lowest Overshoot beyond 40 WMA (%age)

Highest/Lowest Overshoot

02468

1012141618

S&P

+ti

ve

S&P

-ti

ve

DJI

A +

tive

DJI

A -

tive

Nas

q C

om

po

+ti

ve

Nas

q C

om

po

_ti

ve

DJ

Tran

s +i

ve

DJ

Tran

s -t

ive

DJ

Uti

li +t

ive

DJ

Uti

li -t

ive

DJ-

AIG

Co

mm

+ti

ve

DJ-

AIG

Co

mm

-ti

ve

Nas

q B

ank

+tiv

e

Nas

q B

ank

-tiv

e

Nas

q F

in +

ive

Nas

q F

in -

tive

Nas

q T

el +

tive

Nas

q T

el -

tive

Nas

q C

om

p +

tive

Nas

q C

om

p -

tive

%age number of weeks Index was more/less than Std Dev of overshoot of 10 WMA

%age weeks

Page 10: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

10

0

5

10

15

20

25

S&P

+ti

ve

S&P

-ti

ve

DJI

A +

tive

DJI

A -

tive

Nas

q C

om

po

+ti

ve

Nas

q C

om

po

_ti

ve

DJ

Tran

s +i

ve

DJ

Tran

s -t

ive

DJ

Uti

li +t

ive

DJ

Uti

li -t

ive

DJ-

AIG

Co

mm

+ti

ve

DJ-

AIG

Co

mm

-ti

ve

Nas

q B

ank

+tiv

e

Nas

q B

ank

-tiv

e

Nas

q F

in +

ive

Nas

q F

in -

tive

Nas

q T

el +

tive

Nas

q T

el -

tive

Nas

q C

om

p +

tive

Nas

q C

om

p -

tive

%age number of weeks Index was more/less than Std Dev of overshoot of 20 WMA

%age weeks

0

5

10

15

20

25

30

S&P

+ti

veS&

P -

tive

DJI

A +

tive

DJI

A -

tive

Nas

q C

om

po

+ti

veN

asq

Co

mp

o _

tive

DJ

Tran

s +i

veD

J Tr

ans

-tiv

e

DJ

Uti

li +t

ive

DJ

Uti

li -t

ive

DJ-

AIG

Co

mm

+ti

veD

J-A

IG C

om

m -

tive

Nas

q B

ank

+tiv

eN

asq

Ban

k -t

ive

Nas

q F

in +

ive

Nas

q F

in -

tive

Nas

q T

el +

tive

Nas

q T

el -

tive

Nas

q C

om

p +

tive

Nas

q C

om

p -

tive

%age number of weeks index was more/less than std dev of overshoot of 40 WMA

%age weeks

Page 11: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

11

S&P : June 15th

, 2009 Overshoot: 0.99% (10 WMA), 7.6% (20 WMA), 2.6 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -tive std

dev

10 WMA 3.500 -6.120 5.107 12.4 -25.87 16.600 10.250

20 WMA 5.150 -9.479 7.540 19.36 -29 20.950 8.790

40 WMA 7.710 -12.939 11.143 22.07 -35.38 23.800 8.350

Since 1950

-30

-25

-20

-15

-10

-5

0

5

10

15

06

/03

/19

50

06

/03

/19

53

06

/03

/19

56

06

/03

/19

59

06

/03

/19

62

06

/03

/19

65

06

/03

/19

68

06

/03

/19

71

06

/03

/19

74

06

/03

/19

77

06

/03

/19

80

06

/03

/19

83

06

/03

/19

86

06

/03

/19

89

06

/03

/19

92

06

/03

/19

95

06

/03

/19

98

06

/03

/20

01

06

/03

/20

04

06

/03

/20

07

S&P Overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

S&P overshoot beyond 10 WMA, last 5 years

10 WMA

Page 12: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

12

-40

-30

-20

-10

0

10

20

301

5/0

5/1

95

0

15

/05

/19

53

15

/05

/19

56

15

/05

/19

59

15

/05

/19

62

15

/05

/19

65

15

/05

/19

68

15

/05

/19

71

15

/05

/19

74

15

/05

/19

77

15

/05

/19

80

15

/05

/19

83

15

/05

/19

86

15

/05

/19

89

15

/05

/19

92

15

/05

/19

95

15

/05

/19

98

15

/05

/20

01

15

/05

/20

04

15

/05

/20

07

S&P overshoot beyond 20WMA

Overshoot

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

S&P overshoot beyond 20 WMA, last 5 years

Overshoot

Page 13: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

13

-40

-30

-20

-10

0

10

20

30

02

/10

/19

50

02

/10

/19

53

02

/10

/19

56

02

/10

/19

59

02

/10

/19

62

02

/10

/19

65

02

/10

/19

68

02

/10

/19

71

02

/10

/19

74

02

/10

/19

77

02

/10

/19

80

02

/10

/19

83

02

/10

/19

86

02

/10

/19

89

02

/10

/19

92

02

/10

/19

95

02

/10

/19

98

02

/10

/20

01

02

/10

/20

04

02

/10

/20

07

S&P overshoot beyond 40 WMA

Overshoot

-40

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

S&P overshoot beyond 40 WMA, last 5 years

Overshoot

Page 14: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

14

DJIA : June 15th

, 2009 Overshoot : 1.1% (10 WMA), 6.5% (20 WMA), 0.6% (40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std

dev

10 WMA 4.390 -8.467 6.753 36.390 -27.720 11.230 9.250

20 WMA 6.490 -12.537 9.718 40.320 -33.000 13.210 9.400

40 WMA 9.460 -18.083 13.821 53.670 -45.120 17.600 9.230

-40.000

-30.000

-20.000

-10.000

0.000

10.000

20.000

30.000

40.000

03

/12

/19

28

03

/12

/19

32

03

/12

/19

36

03

/12

/19

40

03

/12

/19

44

03

/12

/19

48

03

/12

/19

52

03

/12

/19

56

03

/12

/19

60

03

/12

/19

64

03

/12

/19

68

03

/12

/19

72

03

/12

/19

76

03

/12

/19

80

03

/12

/19

84

03

/12

/19

88

03

/12

/19

92

03

/12

/19

96

03

/12

/20

00

03

/12

/20

04

03

/12

/20

08

DJIA overshoot beyond 10 WMA

Overshoot

-30.000

-25.000

-20.000

-15.000

-10.000

-5.000

0.000

5.000

10.000

15.000

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJIA overshoot beyond 10 WMA

Overshoot

Page 15: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

15

-40.000

-30.000

-20.000

-10.000

0.000

10.000

20.000

30.000

40.000

50.0001

1/0

2/1

92

9

11

/02

/19

33

11

/02

/19

37

11

/02

/19

41

11

/02

/19

45

11

/02

/19

49

11

/02

/19

53

11

/02

/19

57

11

/02

/19

61

11

/02

/19

65

11

/02

/19

69

11

/02

/19

73

11

/02

/19

77

11

/02

/19

81

11

/02

/19

85

11

/02

/19

89

11

/02

/19

93

11

/02

/19

97

11

/02

/20

01

11

/02

/20

05

11

/02

/20

09

DJIA overshoot beyond 20 WMA

Overshoot

-30.000

-25.000

-20.000

-15.000

-10.000

-5.000

0.000

5.000

10.000

15.000

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJIA overshoot beyond 20 WMA

Overshoot

Page 16: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

16

-60.000

-40.000

-20.000

0.000

20.000

40.000

60.0000

1/0

7/1

92

9

01

/07

/19

33

01

/07

/19

37

01

/07

/19

41

01

/07

/19

45

01

/07

/19

49

01

/07

/19

53

01

/07

/19

57

01

/07

/19

61

01

/07

/19

65

01

/07

/19

69

01

/07

/19

73

01

/07

/19

77

01

/07

/19

81

01

/07

/19

85

01

/07

/19

89

01

/07

/19

93

01

/07

/19

97

01

/07

/20

01

01

/07

/20

05

DJIA overshoot beyond 40 WMA

Overshoot

-35.000

-30.000

-25.000

-20.000

-15.000

-10.000

-5.000

0.000

5.000

10.000

15.000

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJIA overshoot beyond 40 WMA

Overshoot

Page 17: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

17

Nasdaq : June 15th

, 2009 Overshoot: 2.8% (10 WMA), 10.8% (20 WMA), 9.9 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std

dev

10 WMA 5.400 -10.113 8.040 17.48 -26.94 16.130 10.330

20 WMA 8.240 -14.658 12.532 29.26 -32.3 18.470 10.240

40 WMA 12.130 -20.865 19.153 51.71 -43.64 18.910 10.190

-30

-25

-20

-15

-10

-5

0

5

10

15

20

05

/04

/19

71

05

/04

/19

73

05

/04

/19

75

05

/04

/19

77

05

/04

/19

79

05

/04

/19

81

05

/04

/19

83

05

/04

/19

85

05

/04

/19

87

05

/04

/19

89

05

/04

/19

91

05

/04

/19

93

05

/04

/19

95

05

/04

/19

97

05

/04

/19

99

05

/04

/20

01

05

/04

/20

03

05

/04

/20

05

05

/04

/20

07

05

/04

/20

09

Nasq Comp overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Comp overshoot beyond 10 WMA

Overshoot

Page 18: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

18

-40

-30

-20

-10

0

10

20

30

401

4/0

6/1

97

1

14

/06

/19

73

14

/06

/19

75

14

/06

/19

77

14

/06

/19

79

14

/06

/19

81

14

/06

/19

83

14

/06

/19

85

14

/06

/19

87

14

/06

/19

89

14

/06

/19

91

14

/06

/19

93

14

/06

/19

95

14

/06

/19

97

14

/06

/19

99

14

/06

/20

01

14

/06

/20

03

14

/06

/20

05

14

/06

/20

07

14

/06

/20

09

Nasq Comp overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Comp overshoot beyond 20 WMA

Overshoot

Page 19: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

19

-60

-40

-20

0

20

40

600

1/1

1/1

97

1

01

/11

/19

73

01

/11

/19

75

01

/11

/19

77

01

/11

/19

79

01

/11

/19

81

01

/11

/19

83

01

/11

/19

85

01

/11

/19

87

01

/11

/19

89

01

/11

/19

91

01

/11

/19

93

01

/11

/19

95

01

/11

/19

97

01

/11

/19

99

01

/11

/20

01

01

/11

/20

03

01

/11

/20

05

01

/11

/20

07

Nasq Comp overshoot beyond 40 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Comp overshoot beyond 40 WMA

Overshoot

Page 20: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

20

DJ Tran: June 15th

, 2009 Overshoot: -0.13% (10 WMA), 7.7% (20 WMA), 2.9 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std

dev

10 WMA 6.190 -11.032 9.794 71.69 -31.52 11.280 10.300

20 WMA 9.240 -15.958 14.112 85.2 -48.26 10.970 13.220

40 WMA 13.110 -23.260 19.255 79.59 -60.97 17.350 10.480

-40

-20

0

20

40

60

80

03

/12

/19

28

03

/12

/19

32

03

/12

/19

36

03

/12

/19

40

03

/12

/19

44

03

/12

/19

48

03

/12

/19

52

03

/12

/19

56

03

/12

/19

60

03

/12

/19

64

03

/12

/19

68

03

/12

/19

72

03

/12

/19

76

03

/12

/19

80

03

/12

/19

84

03

/12

/19

88

03

/12

/19

92

03

/12

/19

96

03

/12

/20

00

03

/12

/20

04

03

/12

/20

08

DJ Trans overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Trans overshoot beyond 10 WMA

Overshoot

Page 21: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

21

-60

-40

-20

0

20

40

60

80

100

11

/02

/19

29

11

/02

/19

33

11

/02

/19

37

11

/02

/19

41

11

/02

/19

45

11

/02

/19

49

11

/02

/19

53

11

/02

/19

57

11

/02

/19

61

11

/02

/19

65

11

/02

/19

69

11

/02

/19

73

11

/02

/19

77

11

/02

/19

81

11

/02

/19

85

11

/02

/19

89

11

/02

/19

93

11

/02

/19

97

11

/02

/20

01

11

/02

/20

05

11

/02

/20

09

DJ Trans overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Trans Overshoot beyond 20 WMA

Overshoot

Page 22: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

22

-80

-60

-40

-20

0

20

40

60

80

1000

1/0

7/1

92

9

01

/07

/19

33

01

/07

/19

37

01

/07

/19

41

01

/07

/19

45

01

/07

/19

49

01

/07

/19

53

01

/07

/19

57

01

/07

/19

61

01

/07

/19

65

01

/07

/19

69

01

/07

/19

73

01

/07

/19

77

01

/07

/19

81

01

/07

/19

85

01

/07

/19

89

01

/07

/19

93

01

/07

/19

97

01

/07

/20

01

01

/07

/20

05

DJ Trans overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Trans Overshoot beyond 40 WMA

Overshoot

Page 23: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

23

DJ Util: June 15th

, 2009 Overshoot: 2.5% (10 WMA), 3.4% (20 WMA), -2.1 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std

dev

10 WMA 4.850 -9.050 8.123 44.93 -35.1 9.700 10.000

20 WMA 7.040 -13.261 11.700 52.97 -37.61 10.170 10.530

40 WMA 9.940 -18.277 15.298 44.83 -45.23 12.470 11.800

-40

-30

-20

-10

0

10

20

30

40

50

04

/03

/19

29

04

/03

/19

33

04

/03

/19

37

04

/03

/19

41

04

/03

/19

45

04

/03

/19

49

04

/03

/19

53

04

/03

/19

57

04

/03

/19

61

04

/03

/19

65

04

/03

/19

69

04

/03

/19

73

04

/03

/19

77

04

/03

/19

81

04

/03

/19

85

04

/03

/19

89

04

/03

/19

93

04

/03

/19

97

04

/03

/20

01

04

/03

/20

05

04

/03

/20

09

DJ Utility overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Utility Overshoot beyond 10 WMA

Overshoot

Page 24: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

24

-50

-40

-30

-20

-10

0

10

20

30

40

50

601

3/0

5/1

92

9

13

/05

/19

33

13

/05

/19

37

13

/05

/19

41

13

/05

/19

45

13

/05

/19

49

13

/05

/19

53

13

/05

/19

57

13

/05

/19

61

13

/05

/19

65

13

/05

/19

69

13

/05

/19

73

13

/05

/19

77

13

/05

/19

81

13

/05

/19

85

13

/05

/19

89

13

/05

/19

93

13

/05

/19

97

13

/05

/20

01

13

/05

/20

05

13

/05

/20

09

DJ Utility overshoot beyond 20 WMA

Overshoot

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Utility overshoot beyond 20 WMA

Overshoot

Page 25: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

25

-50

-40

-30

-20

-10

0

10

20

30

40

503

0/0

9/1

92

9

30

/09

/19

33

30

/09

/19

37

30

/09

/19

41

30

/09

/19

45

30

/09

/19

49

30

/09

/19

53

30

/09

/19

57

30

/09

/19

61

30

/09

/19

65

30

/09

/19

69

30

/09

/19

73

30

/09

/19

77

30

/09

/19

81

30

/09

/19

85

30

/09

/19

89

30

/09

/19

93

30

/09

/19

97

30

/09

/20

01

30

/09

/20

05

DJ Utility overshoot beyond 40 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ Utility overshoot beyond 40 WMA

Overshoot

Page 26: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

26

DJ C: June 15th

, 2009 Overshoot: 4.4% (10 WMA), 9.5% (20 WMA), 3.5 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive

std dev

% weeks

beyond -tive

std dev

10 WMA 3.620 -6.958 5.067 10.04 -23.73 13.490 10.07

20 WMA 5.680 -11.669 7.748 14.27 -33.78 12.800 9.75

40 WMA 8.290 -17.444 11.644 19.27 -43.53 12.540 10.82

-30

-25

-20

-15

-10

-5

0

5

10

15

03

/01

/19

91

03

/01

/19

92

03

/01

/19

93

03

/01

/19

94

03

/01

/19

95

03

/01

/19

96

03

/01

/19

97

03

/01

/19

98

03

/01

/19

99

03

/01

/20

00

03

/01

/20

01

03

/01

/20

02

03

/01

/20

03

03

/01

/20

04

03

/01

/20

05

03

/01

/20

06

03

/01

/20

07

03

/01

/20

08

03

/01

/20

09

DJ-AIG Commodi overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ-AIG Commodi overshoot beyond 10 WMA

Overshoot

Page 27: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

27

-40

-30

-20

-10

0

10

201

3/0

5/1

99

1

13

/05

/19

92

13

/05

/19

93

13

/05

/19

94

13

/05

/19

95

13

/05

/19

96

13

/05

/19

97

13

/05

/19

98

13

/05

/19

99

13

/05

/20

00

13

/05

/20

01

13

/05

/20

02

13

/05

/20

03

13

/05

/20

04

13

/05

/20

05

13

/05

/20

06

13

/05

/20

07

13

/05

/20

08

13

/05

/20

09

DJ-AIG Commodi overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ-AIG Commodi overshoot beyond 20 WMA

Overshoot

Page 28: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

28

-50

-40

-30

-20

-10

0

10

20

30

DJ-AIG Commodi overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

DJ-AIG Commodi overshoot beyond 40 WMA

Overshoot

Page 29: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

29

Nasq F: June 15th

, 2009 Overshoot: 0.53% (10 WMA), 8.0% (20 WMA), -2.2 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std dev

10 WMA 4.760 -9.668 7.266 15.44 -22.6 8.920 9.940

20 WMA 6.400 -13.323 8.576 17.83 -29.03 12.010 10.760

40 WMA 8.940 -17.722 11.304 18.24 -40.43 15.110 12.010

-25

-20

-15

-10

-5

0

5

10

15

20

Nasq Fin overshoot beyond 10 WMA

Overshoot

-25

-20

-15

-10

-5

0

5

10

15

20

07/06/2004 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009

Nasq Fin overshoot beyond 10 WMA

Overshoot

Page 30: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

30

-40

-30

-20

-10

0

10

20

30

NAsq Fin overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

30

07/06/2004 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009

Nasq Fin overshoot beyond 20 WMA

Overshoot

Page 31: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

31

-50

-40

-30

-20

-10

0

10

20

30

Nasq Fin overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

07/06/2004 07/06/2005 07/06/2006 07/06/2007 07/06/2008 07/06/2009

Nasq Fin overshoot beyond 40 WMA

Overshoot

Page 32: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

32

Nasq B: June 15th

, 2009 Overshoot: -3.4% (10 WMA), 0.9% (20 WMA), -13.9%(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive

std dev

% weeks

beyond -

tive std

dev

10 WMA 4.340 -8.673 6.346 18.28 -24.98 16.820 8.300

20 WMA 6.480 -12.090 9.439 20.14 -33.6 22.900 8.810

40 WMA 10.010 -16.822 14.814 25.96 -41.6 28.350 8.780

-30

-25

-20

-15

-10

-5

0

5

10

15

20

25

24

/12

/19

90

24

/12

/19

91

24

/12

/19

92

24

/12

/19

93

24

/12

/19

94

24

/12

/19

95

24

/12

/19

96

24

/12

/19

97

24

/12

/19

98

24

/12

/19

99

24

/12

/20

00

24

/12

/20

01

24

/12

/20

02

24

/12

/20

03

24

/12

/20

04

24

/12

/20

05

24

/12

/20

06

24

/12

/20

07

24

/12

/20

08

Nasq Bank overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

20

25

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Bank overshoot beyond 10 WMA

Overshoot

Page 33: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

33

-40

-30

-20

-10

0

10

20

300

4/0

3/1

99

1

04

/03

/19

92

04

/03

/19

93

04

/03

/19

94

04

/03

/19

95

04

/03

/19

96

04

/03

/19

97

04

/03

/19

98

04

/03

/19

99

04

/03

/20

00

04

/03

/20

01

04

/03

/20

02

04

/03

/20

03

04

/03

/20

04

04

/03

/20

05

04

/03

/20

06

04

/03

/20

07

04

/03

/20

08

04

/03

/20

09

Nasq Bank overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Bank overshoot beyond 20 WMA

Overshoot

Page 34: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

34

-50

-40

-30

-20

-10

0

10

20

30

Nasq Bank overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Bank overshoot beyond 40 WMA

Overshoot

Page 35: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

35

Nasq T: Jun 15th

, 2009 Overshoot: 3.05% (10 WMA), 14.3% (20 WMA), 17.4 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -tive std

dev

10 WMA 8.410 -14.861 11.89382 21.69 -30.37 13.32 14.930

20 WMA 13.220 -22.246 19.05433 33.62 -36.14 13.96 16.040

40 WMA 20.760 -33.832 29.35643 51.53 -51.5 14.7 17.830

-40

-30

-20

-10

0

10

20

30

Nasq Tele overshoot beyond 10 WMA

Overshoot

-40

-30

-20

-10

0

10

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Tele overshoot beyond 10 WMA

Overshoot

Page 36: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

36

-40

-30

-20

-10

0

10

20

30

40

Nasq Tele overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Tele overshoot beyond 20 WMA

Overshoot

Page 37: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

37

-60

-40

-20

0

20

40

60

Nasq Tele overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Tele overshoot beyond 40 WMA

Overshoot

Page 38: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

38

Nasq Co: June 15th

, 2009 Overshoot: 5.0% (10 WMA), 14% (20 WMA), 16.5 %(40 WMA)

Std

Deviation

Down

side

aver

beyond

std dev

up side

aver

beyond

std dev

Highest

+tive

Overshoot

Lowest -

tive

overshoot

%age

weeks

beyond

+tive std

dev

% weeks

beyond -

tive std

dev

10 WMA 7.730 -13.979 11.697 7.73 -29.03 15.580 11.440

20 WMA 11.680 -20.236 17.590 11.68 -34.3 15.660 12.020

40 WMA 17.570 -28.871 27.635 17.58 -51.71 15.680 13.380

-40

-30

-20

-10

0

10

20

30

Nasq Comput overshoot beyond 10 WMA

Overshoot

-30

-25

-20

-15

-10

-5

0

5

10

15

20

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Comput overshoot beyond 10 WMA

Overshoot

Page 39: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

39

-40

-30

-20

-10

0

10

20

30

40

50

Nasq Comput overshoot beyond 20 WMA

Overshoot

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq Comput overshoot beyond 20 WMA

Overshoot

Page 40: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

40

-60

-40

-20

0

20

40

60

80

Nasq Compt overshoot beyond 40 WMA

Overshoot

-50

-40

-30

-20

-10

0

10

20

30

01/06/2004 01/06/2005 01/06/2006 01/06/2007 01/06/2008 01/06/2009

Nasq COmput overshoot beyond 40 WMA

Overshoot

Page 41: US WMA Overshoot Analysis

By: Harman Bajwa Stock Overshoot Study [email protected]

41

Conclusion:- Based on this study one can rejig his/her portfolio accordingly.

We get a fair idea on which sector is heating up and which sector is still lying in cold.

Another point is, we can set our expectation limits on each sector and can decide on our

investment decisions.

Happy Investing

Harman Bajwa.

[email protected]